SNDK Options History — March 2007

In March 2007, SNDK traded between $37.01 and $44.88. ATM implied volatility averaged 33.3%. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.5% (HV 20d: 31.8%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2007-03-21: Highest Volume — 115,685 contracts
  • 2007-03-15: Largest IV spike — 13.0% change
  • 2007-03-06: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.21$37.01$44.88$37.01$43.80
Max Pain$41.14$40.00$42.50$40.00$42.50
ATM IV33.3%27.8%39.5%36.5%27.8%
Expected Move9.8%8.0%11.9%10.5%8.0%
HV 20d31.8%27.3%35.5%27.3%31.2%
HV 60d33.7%32.6%34.5%34.1%33.3%
Term Structure6.3%-1.2%13.2%5.0%13.2%
VWIV34.4%28.2%41.5%37.1%28.2%
Skew 25d0.9%-1.3%2.2%-1.3%1.1%
Skew 10d1.3%-5.5%3.9%-3.5%1.5%
Call IV 25d34.5%28.3%41.7%39.0%28.3%
Put IV 25d35.4%29.4%42.3%37.7%29.4%
Bid-Ask Spread %6.124.129.716.174.12
Gamma HHI0.180.130.260.130.25
Net GEX8.6M-592.2K16.6M-224.5K13.7M
Net DEX-188.8M-516.2M160.2M160.2M-372.3M
Net VEX-3.6M-4.3M-3.0M-3.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.622.932.260.81
Total Volume47,496.86412,516115,68546,15712,516
Total OI610,033.682533,766647,496563,333632,755

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$37.01$40.0036.5%10.5%27.3%0.0%37.1%-1.3%5.0%-224.5K160.2M-3.0M2.266.17N/AN/A14,16331,994349,867213,466
2007-03-02$37.84$40.0037.6%10.8%28.2%0.0%37.6%1.0%3.2%569.9K108.0M-3.1M0.687.05N/AN/A32,52122,157355,039219,961
2007-03-05$37.14$42.5039.5%11.8%28.6%0.0%41.5%0.6%-1.0%-592.2K157.5M-3.1M0.665.65N/AN/A13,2378,758367,838225,989
2007-03-06$38.64$42.5037.7%11.9%32.6%0.0%41.0%2.2%-1.2%2.2M48.0M-3.2M1.346.25N/AN/A14,79119,751370,504226,556
2007-03-07$38.75$42.5037.1%11.0%32.4%0.0%37.9%0.4%2.6%2.6M33.7M-3.3M1.029.20N/AN/A47,69348,805374,160228,998
2007-03-08$39.81$40.0033.4%10.6%33.8%0.0%37.0%1.6%1.7%7.0M-83.0M-3.5M1.376.31N/AN/A16,91023,145394,642238,114
2007-03-09$39.41$40.0030.9%10.4%33.8%0.0%36.4%0.7%2.8%5.9M-36.8M-3.4M2.936.32N/AN/A11,22632,853392,644233,429
2007-03-12$40.17$40.0034.4%10.2%32.1%0.0%36.1%2.0%2.9%9.2M-112.9M-3.4M1.166.74N/AN/A12,86314,939395,847235,360
2007-03-13$40.28$40.0034.1%10.3%31.7%0.0%35.8%1.3%3.6%9.6M-135.7M-3.4M0.769.71N/AN/A44,62733,996396,349236,815
2007-03-14$40.75$40.0032.5%10.7%32.0%0.0%37.3%1.0%3.4%11.4M-188.3M-3.5M1.186.58N/AN/A17,59020,801404,321241,654
2007-03-15$40.65$40.0036.7%10.5%30.9%0.0%35.7%1.6%4.0%8.9M-177.0M-3.5M2.648.79N/AN/A11,47630,247399,993246,533
2007-03-16$40.57$40.0035.3%10.1%30.7%0.0%35.7%0.4%5.0%5.4M-198.8M-3.4M0.765.21N/AN/A19,93615,091399,091248,405
2007-03-19$39.99$40.0034.0%9.8%29.8%0.0%34.1%0.8%6.8%3.2M-47.5M-3.3M0.855.50N/AN/A24,49220,750333,334200,432
2007-03-20$41.91$40.0030.0%8.6%34.1%0.0%30.1%0.7%11.1%7.4M-197.9M-3.6M1.544.15N/AN/A25,69239,493344,251208,224
2007-03-21$43.48$40.0031.6%9.1%35.5%0.0%31.4%1.0%11.5%10.8M-338.6M-3.7M0.766.62N/AN/A65,54850,137351,047212,679
2007-03-22$43.50$42.5031.3%9.0%34.1%0.0%30.7%0.3%10.8%12.5M-371.7M-4.1M0.785.34N/AN/A28,61222,351378,420223,891
2007-03-23$44.88$42.5029.9%8.6%34.8%0.0%29.9%1.2%10.2%15.7M-516.2M-4.3M0.624.60N/AN/A34,72421,622389,947227,155
2007-03-26$44.82$42.5031.8%9.1%34.3%0.0%32.2%1.0%9.3%16.3M-501.3M-4.3M0.875.87N/AN/A15,30613,379395,796231,026
2007-03-27$44.80$42.5031.3%9.0%30.6%0.0%30.7%0.4%9.7%16.4M-510.3M-4.3M1.744.57N/AN/A12,55721,855396,610230,291
2007-03-28$44.70$42.5029.6%8.5%29.7%0.0%29.9%1.0%11.2%16.6M-490.8M-4.2M0.724.38N/AN/A21,24515,237400,914231,277
2007-03-29$43.82$42.5029.0%8.3%31.5%0.0%29.5%1.4%12.4%14.0M-382.6M-4.2M1.285.58N/AN/A17,48522,360401,997235,120
2007-03-30$43.80$42.5027.8%8.0%31.2%0.0%28.2%1.1%13.2%13.7M-372.3M-4.1M0.814.12N/AN/A6,9155,601398,175234,580